Maybe there's a simpler way. Have you tried Physics.IgnoreCollision?

It even has an example exactly about bullets:

// Instantiate a bullet and make it ignore collisions with this object.
var bulletPrefab : Transform;
function Start () {
    var bullet = Instantiate (bulletPrefab);
    Physics.IgnoreCollision(bullet.collider, collider);
}

If you look in the Scripting Reference there is Physics.IgnoreCollision or something similar that will do just that.